I'm late to the discussion, but yeah, everyone buy these games. Civ IV is a masterpiece of strategy gaming and it will destroy many many hours of your life and convert them into pure bliss before it's finished with you.

And yeah GP, play each expansion individually as you go. Play a few campaigns in the original game first, then move to Warlords and play a few there, then go to Beyond the Sword. The game changes enough with each expansion to remain fresh and you'll get many more hours out of it by moving to the next expansion when you've played out the previous game.

Also, check out this website: http://www.garath.net/Sullla/civ4.html
It's made by someone who was on the development team for Civ IV and is an avid player of the game. He documented a lot of his thoughts and his own games that he played which are extremely entertaining reads and help you learn a few more tips and tricks you may never have thought of on your own.

There's also a huge community that plays "Succession games" where 4 or more players take turns playing a set number of years and Adventures where the games usually have special rules or maps that make some games very interesting (such as a Vegan rule where no animal resources can be used, or another where you cannot use any religions, etc). Sulla lists some of these on his site too, but you can go here (http://realmsbeyond.net/civ/civ4-succession.html) to see them all at the source.

Even when you're not playing Civ IV, it grips you I've found and that stuff I linked is a lot of fun to read and digest while at work or when you have a spare moment.